INS papers GGGrandfather Romania

GGGrandfather and mother came over from Romaina in 1885 and were natizelized in 1908 (all of this is from the 1920 Federal Census).Also, traced him in IL, PA, and NY, he moved around alot)

I sent away to get what papers I could on him from the INS in New York, today the INS called me to tell me that they do not have anything until 1940; I told her I was told that the INS has all papers starting in 1906, she told me I was refering to Ellis Island, told her again, that I understood the INS started in 1906 and has all the papers, she again she no, 1940 and after.

I sent away to get what papers I could on him from the INS in New York, today the INS called me to tell me that they do not have anything until 1940; I told her I was told that the INS has all papers starting in 1906, she told me I was refering to Ellis Island, told her again, that I understood the INS started in 1906 and has all the papers, she again she no, 1940 and after.So what do I do now?Thanks